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A B C D E F I K M O P R S T U V W
| PerformanceAnalytics-package | Econometric tools for performance and risk analysis. |
| ActivePremium | Active Premium |
| apply.fromstart | calculate a function over an expanding window always starting from the beginning of the series |
| apply.rolling | calculate a function over a rolling window |
| BetaCoKurtosis | Functions to calculate systematic or beta co-moments of return series |
| BetaCoMoments | Functions to calculate systematic or beta co-moments of return series |
| BetaCoSkewness | Functions to calculate systematic or beta co-moments of return series |
| BetaCoVariance | Functions to calculate systematic or beta co-moments of return series |
| CalculateReturns | calculate simple or compound returns from prices |
| CalmarRatio | calculate a Calmar or Sterling reward/risk ratio |
| CAPM.alpha | calculate CAPM alpha |
| CAPM.beta | calculate CAPM beta |
| CAPM.beta.bear | calculate CAPM beta |
| CAPM.beta.bull | calculate CAPM beta |
| CAPM.CML | utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.CML.slope | utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.RiskPremium | utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.SML.slope | utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.utils | utility functions for CAPM CML, SML, and RiskPremium |
| centeredcomoment | calculate centered Returns |
| centeredmoment | calculate centered Returns |
| chart.ACF | Create ACF chart or ACF with PACF two-panel chart |
| chart.ACFplus | Create ACF chart or ACF with PACF two-panel chart |
| chart.Bar | wrapper for barchart of returns |
| chart.BarVaR | Periodic returns in a bar chart with risk metric overlay |
| chart.Boxplot | box whiskers plot wrapper |
| chart.CaptureRatios | Chart of Capture Ratios against a benchmark |
| chart.Correlation | correlation matrix chart |
| chart.CumReturns | Cumulates and graphs a set of periodic returns |
| chart.Drawdown | Time series chart of drawdowns through time |
| chart.ECDF | Create an ECDF overlaid with a Normal CDF |
| chart.Events | Plots a time series with event dates aligned |
| chart.Histogram | histogram of returns |
| chart.QQPlot | Plot a QQ chart |
| chart.Regression | Takes a set of returns and relates them to a market benchmark in a scatterplot |
| chart.RelativePerformance | relative performance chart between multiple return series |
| chart.RiskReturnScatter | scatter chart of returns vs risk for comparing multiple instruments |
| chart.RollingCorrelation | chart rolling correlation fo multiple assets |
| chart.RollingMean | chart the rolling mean return |
| chart.RollingPerformance | wrapper to create a chart of rolling performance metrics in a line chart |
| chart.RollingQuantileRegression | A wrapper to create charts of relative regression performance through time |
| chart.RollingRegression | A wrapper to create charts of relative regression performance through time |
| chart.RollingStyle | calculate and display effective style weights |
| chart.Scatter | wrapper to draw scatter plot with sensible defaults |
| chart.SnailTrail | chart risk versus return over rolling time periods |
| chart.StackedBar | create a stacked bar plot |
| chart.Style | calculate and display effective style weights |
| chart.TimeSeries | Creates a time series chart with some extensions. |
| chart.VaRSensitivity | show the sensitivity of Value-at-Risk estimates |
| charts.PerformanceSummary | Create combined wealth index, period performance, and drawdown chart |
| charts.RollingPerformance | rolling performance chart |
| charts.RollingRegression | A wrapper to create charts of relative regression performance through time |
| checkData | check input data type and format and coerce to the desired output type |
| clean.boudt | clean extreme observations in a time series to to provide more robust risk estimates |
| CoKurtosis | Functions for calculating comoments of financial time series |
| CoMoments | Functions for calculating comoments of financial time series |
| CoSkewness | Functions for calculating comoments of financial time series |
| CoVariance | Functions for calculating comoments of financial time series |
| CVaR | calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods. |
| DownsideDeviation | downside risk (deviation, variance) of the return distribution |
| Drawdowns | Find the drawdowns and drawdown levels in a timeseries. |
| edhec | EDHEC-Risk Hedge Fund Style Indices |
| ES | calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods. |
| findDrawdowns | Find the drawdowns and drawdown levels in a timeseries. |
| InformationRatio | InformationRatio = ActivePremium/TrackingError |
| KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a strategy |
| kurtosis | Kurtosis |
| managers | Hypothetical Alternative Asset Manager and Benchmark Data |
| maxDrawdown | caclulate the maximum drawdown from peak equity |
| mean.geometric | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.LCL | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.stderr | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.UCL | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.utils | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| Omega | calculate Omega for a return series |
| PerformanceAnalytics | Econometric tools for performance and risk analysis. |
| replaceTabs | Display text information in a graphics plot. |
| Return.annualized | calculate an annualized return for comparing instruments with different length history |
| Return.calculate | calculate simple or compound returns from prices |
| Return.centered | calculate centered Returns |
| Return.clean | clean returns in a time series to to provide more robust risk estimates |
| Return.cumulative | calculate a compounded (geometric) cumulative return |
| Return.excess | Calculates the returns of an asset in excess of the given risk free rate |
| Return.Geltner | calculate Geltner liquidity-adjusted return series |
| Return.portfolio | Calculates weighted returns for a portfolio of assets |
| Return.read | Read returns data with different date formats |
| Return.rebalancing | Calculates weighted returns for a portfolio of assets |
| Return.relative | calculate the relative return of one asset to another |
| sd.annualized | calculate a multiperiod or annualized Standard Deviation |
| sd.multiperiod | calculate a multiperiod or annualized Standard Deviation |
| SemiDeviation | downside risk (deviation, variance) of the return distribution |
| SemiVariance | downside risk (deviation, variance) of the return distribution |
| SharpeRatio | Sharpe Ratio |
| SharpeRatio.annualized | calculate annualized Sharpe Ratio |
| SharpeRatio.modified | calculate a modified Sharpe Ratio of Return over VaR or ES |
| skewness | Skewness |
| SmoothingIndex | calculate Normalized Getmansky Smoothing Index |
| sortDrawdowns | order list of drawdowns from worst to best |
| SortinoRatio | calculate Sortino Ratio of performance over downside risk |
| statsTable | wrapper function for combining arbitrary function list into a table |
| StdDev.annualized | calculate a multiperiod or annualized Standard Deviation |
| SterlingRatio | calculate a Calmar or Sterling reward/risk ratio |
| style.fit | calculate and display effective style weights |
| style.QPfit | calculate and display effective style weights |
| SystematicKurtosis | Functions to calculate systematic or beta co-moments of return series |
| SystematicSkewness | Functions to calculate systematic or beta co-moments of return series |
| table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts |
| table.Arbitrary | wrapper function for combining arbitrary function list into a table |
| table.Autocorrelation | table for calculating the first six autocorrelation coefficients and significance |
| table.CalendarReturns | Monthly and Calendar year Return table |
| table.CAPM | Asset-Pricing Model Summary: Statistics and Stylized Facts |
| table.CaptureRatios | Calculate and display a table of capture ratio and related statistics |
| table.Correlation | calculate correlalations of multicolumn data |
| table.DownsideRisk | Downside Risk Summary: Statistics and Stylized Facts |
| table.Drawdowns | Worst Drawdowns Summary: Statistics and Stylized Facts |
| table.HigherMoments | Higher Moments Summary: Statistics and Stylized Facts |
| table.MonthlyReturns | Returns Summary: Statistics and Stylized Facts |
| table.Returns | Monthly and Calendar year Return table |
| table.RollingPeriods | Rolling Periods Summary: Statistics and Stylized Facts |
| table.Stats | Returns Summary: Statistics and Stylized Facts |
| table.TrailingPeriods | Rolling Periods Summary: Statistics and Stylized Facts |
| table.TrailingPeriodsRel | Rolling Periods Summary: Statistics and Stylized Facts |
| table.UpDownRatios | Calculate and display a table of capture ratio and related statistics |
| textplot | Display text information in a graphics plot. |
| textplot.character | Display text information in a graphics plot. |
| textplot.data.frame | Display text information in a graphics plot. |
| textplot.default | Display text information in a graphics plot. |
| textplot.matrix | Display text information in a graphics plot. |
| TimingRatio | calculate CAPM beta |
| TrackingError | Calculate Tracking Error of returns against a benchmark |
| TreynorRatio | calculate Treynor Ratio of excess return over CAPM beta |
| UpDownRatios | calculate metrics on up and down markets for the benchmark asset |
| UPR | calculate Upside Potential Ratio of upside performance over downside risk |
| UpsidePotentialRatio | calculate Upside Potential Ratio of upside performance over downside risk |
| VaR | calculate various Value at Risk (VaR) measures |
| VaR.CornishFisher | calculate various Value at Risk (VaR) measures |
| weights | Selected Portfolio Weights Data |